Exchange Rates and Business Cycles Across Countries

20 Pages Posted: 9 Dec 2012

See all articles by Margarida Duarte

Margarida Duarte

Federal Reserve Banks - Federal Reserve Bank of Richmond

Diego Restuccia

University of Toronto - Department of Economics

Andrea Waddle

Federal Reserve Banks - Federal Reserve Bank of Richmond

Date Written: 2007

Abstract

We study the business cycle properties of exchange rates and other macro-economic variables in a panel of developed and developing countries. We find substantial variation in the degree of co-movement of exchange rates with other macroeconomic variables across countries in our sample. Moreover, the volatility of exchange rates is much larger in developing countries than in developed countries. This larger volatility of exchange rates in developing countries is associated with the characteristics of business cycles and the level of co-movement with other aggregates.

Suggested Citation

Duarte, Margarida and Restuccia, Diego and Waddle, Andrea, Exchange Rates and Business Cycles Across Countries (2007). FRB Richmond Economic Quarterly, vol. 93, no. 1, Winter 2007, pp. 57-76, Available at SSRN: https://ssrn.com/abstract=2186655

Margarida Duarte (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of Richmond ( email )

P.O. Box 27622
Richmond, VA 23261
United States

Diego Restuccia

University of Toronto - Department of Economics ( email )

150 St. George Street
Toronto, Ontario M5S 3G7
Canada

Andrea Waddle

Federal Reserve Banks - Federal Reserve Bank of Richmond

P.O. Box 27622
Richmond, VA 23261
United States

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